Then, as before, we define the difference between the scoring function of model \(i\)  and model \(j\)  by \(\Delta _{AL, t}^{(i,j)} =S_{AL_{t}}^{(i)}(\tau ) - S_{AL_{t}}^{(j)}(\tau )\)  and apply the [1]} test to look for the best model in terms of forecasting accuracy. The results are reported in Table REF  (Panels A and B). As shown in the table, the conclusion of the test is now less clear and does not provide any significant evidence in favor of a particular model. This is one of the first advantages of our approach, as we are able to identify a clear hierarchy among competing models.
